Saigo carded a seven-under-par 65 to edge out surging home hope Yin Ruoning, the highest-ranked player in the field, who shot a stunning 63 in her third round.
Among Saigo's highlights was lobbing a tricky chip shot from the rough on the par-five fourth hole, landing the ball softly on the fringe and watching it roll straight into the cup for birdie.
"I knew that scores and standings were changing throughout the day," said Saigo, adding that she "just concentrated on playing (her) best".
"I made some good shots and made that last long putt that put me into the lead," she added, referring to her eagle roll from distance on the 17th green.
Hot on her tail was China's 22-year-old Yin, current world number four and champion of last year's Women's PGA Championship.
Yin started strong, shooting 32 in a front-nine performance that saw her chip in for birdie on the par-three seventh hole.
Yin really pumped up the home crowd at the 17th-hole green, eliciting huge cheers when she sank a mid-length putt for eagle and a brief outright lead.
"Today there was a bigger crowd and I always hear people rooting my name," said Yin.
"I just really, really enjoy playing at home and I hope I can keep the momentum going for the last day," she added.
"I think tomorrow I'm playing as a chaser."
Former world number one Kim Sei-young of South Korea had led after each of the first two rounds but slid to third place after shooting a 69, three strokes behind Saigo.
Behind Kim came Yealimi Noh of the United States at a three-day combined score of 13 under par, followed by a six-way tie for fifth place at 11 under.
Lucy Li of the United States finished with an even-par 72 on the day, falling into the crowded tie for fifth after beginning the day alongside Saigo in second place.
